We argue that one reason why emerging economies borrow short term is that it is cheaper
than borrowing long term. This is especially the case during crises, as in these episodes the
relative cost of long-term borrowing increases. We construct a unique database of sovereign
bond prices, returns, and issuances at di¤erent maturities for 11 emerging economies from 1990
to 2009 and present a set of new stylized facts. On average, these countries pay a higher risk
premium on long-term than on short-term bonds. During crises, the di¤erence between the two
risk premia increases and issuance shifts towards shorter maturities. To illustrate our argument,
we present a simple model in which the maturity structure is the outcome of a risk sharing
problem between an emerging economy subject to rollover crises and risk averse international
investors.